This article revisits a number of empirical relationships in the oil and commodity index futures markets. For example, the article examines how to put roll yields in proper perspective, which is that they are most properly seen as predictive of future returns over sufficiently long timeframes....

This article covers the trading blowups at the hedge fund, Amaranth, and at the Futures Commission Merchant, MF Global. Although the lessons from the Amaranth blowup can best be understood in terms of market-risk principles, the lessons from the MF Global bankruptcy are best understood in terms...

Given the generally observed mean-reverting nature of spot commodity prices, it should naturally follow that across time, roll yields (and therefore, backwardation) have to be the dominant explanatory variable for individual futures contract returns over long enough time horizons. In this paper,...

Broadly speaking, there are seven strands of literature on commodity pricing theory, which we summarize as follows: The insurance role of commodity futures contracts, which emphasizes the role of the speculator; the theory of storage, which emphasizes the behavior of the inventory holder and...

Managed futures strategies are a niche-within-a-niche in the capital markets. Despite this status, managed futures have become of particular interest to hedge fund investors. This paper will discuss why this has become the case by focusing on this strategy's unique diversification properties. We...

This paper will argue that long-only investments in the commodity futures markets, specifically those represented by the GSCI, are only advisable under a well-defined circumstance. One needs to use a reliable indicator of scarcity before investing in commodities in order to improve the chances...

In this paper, we note how a set of active commodity strategies could potentially add value to an investor's commodity allocation. But we also emphasize the due care that must be taken in both risk management and implementation discipline

In this paper, we introduce readers to commodity (natural resource) futures programs. We begin by describing the present investment landscape as one where return compression in a number of popular hedge fund strategies has led absolute-return investors to investigate other promising return...

In this article, we provide the busy reader with a survey of articles that were written over the past four years on hedge funds. Specifically, we review the economic basis for hedge fund returns and then discuss some of the logical consequences of these observations. Next, we summarize the...

Part I of this two-part series touched upon the difficulty of using standard measures to evaluate a number of hedge fund strategies. After reviewing these difficulties, this paper will discuss the current state-of-the-art methodology in this area. The paper will conclude that if one has an...